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- W2951787360 abstract "Complementing existing results on minimal ruin probabilities, we minimize expected discounted penalty functions (or Gerber-Shiu functions) in a Cramer-Lundberg model by choosing optimal reinsurance. Reinsurance strategies are modelled as time dependant control functions, which leads to a setting from the theory of optimal stochastic control and ultimately to the problem's Hamilton-Jacobi-Bellman equation. We show existence and uniqueness of the solution found by this method and provide numerical examples involving light and heavy tailed claims and also give a remark on the asymptotics." @default.
- W2951787360 created "2019-06-27" @default.
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- W2951787360 date "2018-09-04" @default.
- W2951787360 modified "2023-09-23" @default.
- W2951787360 title "Optimal Reinsurance for Gerber-Shiu Functions in the Cramer-Lundberg Model" @default.
- W2951787360 hasPublicationYear "2018" @default.
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